AUD Swaps: Short end flatness; ADB Kanga plans

Rolled flat 18 Jun 2020
The short end of the AUD curve has flattened. There has been trade in 3-year forwards. ADB is planning a Kangaroo Bond issue.

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  • Short end flatness; Forward activity

  • 2031 tender result

  • New issues


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Short end flatness; Forward activity

The AUD rates market is trading a little weaker today and the short-end is leading a mild sell-off. In late morning Sydney trading futures implied yields are up to 2.5bps higher and the 3s/10s futures curve is 1.5bps flatter at 16bps.


Tracking the lead of the underlying futures market, the swap curve is bear flattening. Trade flow has been limited and mostly focused on forwards. The 1y1y forward dealt around 3.52%. There has also been interest and flow in 3-year expiries. There have been trades in 3y2y, 3y5y and 3y10y structures at levels around 3.48%, 3.665% and 3.78% respectively.


IRS deals have gone through the market in the 3-, 4- and 5-year maturities around 3.39%, 3.51% and  and 3.515%. The short end of the curve is very flat just now, as evidenced by the fact that 2-3 and 4-5 year spreads are both close to zero currently.


Interest has been more sparse in the longer tenors but there has been trade in 10-year swaps around 3.6575% and in 15-years around 3.7175%.


Forward space has been active. The 1y1y swap dealt around 3.52%. There was decent interest in 3-year expiries, where the 3y2y, 3y5y and 3y10y structure changed hands at levels around 3.4825%, 3.6675% and 3.7825%. There has also been a deal in the 5y5y around 3.8275%.


Swap spreads widened late yesterday and have consolidated today. The 3- and 10-year EFPs are marked around 32.375bps and 43.75bps just now. So the 3s/10s box spread is marked just below 11.5bps.



2031 tender result

At a bond tender operation conducted earlier in the session the AOFM sold AUD800m in the ACGB 1% Nov 21, 2031 at a weighted average yield of 3.1801%. The tail was 0.0024% and the auction was covered 2.28 times.



New issues

  • CBA is planning to issue new 3- and 5-year bonds in a self led deal. Price guidance for the 3-year tranche is BBSW/swaps + 82bps and for the 5-year is BBSW/swaps + 105bps.


  • Asian Development Bank launched a AUD300m deal to increase its 3.70% Jun 2025 Kangaroo Bond through joint leads ANZ, RBCCM and TD. The tap is expected to be priced around ACGBs + 67.4bps or swaps + 23bps.


  • Heartland Australia Group Pty Ltd added AUD30m to its Jul 9, 2024 FRN in a deal led by Westpac. The deal size was upped to AUD75m.


  • BNG Bank NV added AUD25m to its 1.60% Nov 27, 2030 Kangaroo Bond. The tap was priced at swaps + 45bps and it took outstanding issuance to AUD615m.


  • Shinhan Bank sold a AUD50m 15-month FRN through ANZ. It pays 3m BBSW + 55bps and matures Nov 20, 2023.